I just wish there was a way to combine the best of Morrowind with the best of Oblivion.... that would make my day (week, year, decade).
When I play Oblivion I miss the large amount of guilds to join, the politics, the fact that not every NPC walks around with a glass sword on his back, the wonderful main quest that I can do when I want too (while it makes sense from an RP perspective) and the wildly different environments of Morrowind. I also miss the ability to make your own spells and enchantments from the start, I always get bored of the Mage's Guild questline.
Besides that, I miss head-packs. It's so much easier for me to make a pretty face for Morrowind with Photoshop then it is for Oblivion with Facegen.
When I play Morrowind, I miss the improved sneaking, the sneak attacks, and being able to zoom in with my bow. I miss being able to wield a weapon in one hand and cast a spell with the other. And I miss the fact that in Oblivion when I hit something visually, I do damage. Maybe not much, but at least I hurt them a bit. In Morrowind I quite often can't tell if my arrow missed because I didn't aim properly or if I had a bad dice roll. Oh, and being able to retrieve arrows that missed from the floor. And the cool traps which always makes me feel like some sort of Indiana Jones wannabe
Hopefully the next TES (I don't care too much for Fallout, I prefer fantasy, but I might give Fallout 3 a try at some stage) will get the mix right for me